There is a growing body of evidence suggesting that nonpharmacological interventions have an appropriate place in the treatment of major depressive disorders (MDDs) as both stand-alone and supplemental treatments. Because women may be reluctant to use psychotropic medications due to strong values or treatment preferences during specific reproductive events, clinicians need to be able to offer empirically based alternatives to medication. In this review, we present recent findings from studies of acupuncture, bright light therapy, electroconvulsive therapy, omega fatty acid supplementation, physical activity, and psychosocial intervention for women experiencing depressive symptoms in the contexts of menstruation, pregnancy, postpartum, and menopause.